st: Re: conditioning reset at each gap

[Kit Baum <baum@bc.edu>]

You should

gen t = _n
tsset t

if your daily return data are missing on weekend days and holidays.  
Put them in 'business daily' context.

For more detail on this issue please see Stata Tip 40, "Taking care  
of business"

http://ideas.repec.org/a/tsj/stataj/v7y2007i1p137-139.html


Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Jan 17, 2008, at 2:33 AM, Bulent wrote:


>  I have daily return data and want to estimate a garch(1,1) model  
> as below.
>
> .arch r, arch(1) garch(1) het(d1990) nolog
>
> - ----results---
> Number of gaps in sample:  427
> (note: conditioning reset at each gap)
>
>
>
> What does "conditioning reset at each gap" exactly imply?
> When I generated a new time variable with
> .egen t=fill (1 2)
>
> and used this linear variable as the time variable, I don't get
> "conditioning ..."  message and the results are a little different.
>
> I have daily data. Should I use the "daily date variable" or the t
> above for my time variable?
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